30,164 research outputs found
A Markov-switching vector equilibrium correction model of the UK labour market
No full textThere is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where some parameters change according to the phase of the business cycle. Output, employment, labour supply and real earnings are found to have a common cyclical component. The long run dynamics are characterized by two cointegrating vectors: trend-adjusted labour productivity and the labour share. Despite there having been many changes affecting this sector of the UK economy, the Markov-switching vector-equilibrium-correction model with three regimes representing recession, growth and high growth provides a good characterization of the sample data over the period 1966(3)-1993(1) In an out-of-sample forecast experiment over the period 1991(2)-1993(1) it beats linear and non-linear model alternatives. The results of an impulse-response analysis highlight the dangers of using VARs when the constancy of the estimated coefficients has not been established
A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market
No full textThere is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. In this paper we present a statistical model that offers a congruent representation of part of the UK labour market since the mid 1960s. We use a cointegrated vector autoregressive Markov-switching model in which some parameters change according to the phase of the business cycle. Output, employment, labour supply and real earnings are found to have a common cyclical component. The long run dynamics are characterized by one cointegrating vector relating unemployment to trend-adjusted real wages and output. Despite there having been many changes affecting this sector of the UK economy, the Markov-switching vector-equilibrium-correction model with three regimes (representing recession, normal growth, and high growth) provides a good characterization of the sample data, and performs well relative to alternative linear and non-linear models. The results of an impulse-response analysis highlight the dangers of using VARs when the constancy of the estimated coefficients has not been established, and demonstrate the advantages of generating regime dependent responses
We Ran One Regression
No full textThe recent controversy over model selection in the context of `growth regressions' has led to some remarkably numerous `estimation' strategies, including 4 million regressions by Sala-i-Martin (1997b). Only one regression is really needed, namely the general unrestricted model, appropriately reduced to a parsimonious encompassing congruent representation. Such an outcome was achieved in one run on PcGets, within 15 minutes of receiving from Professor Ley the data set in Fernández et al (2001). We reproduce that equation, and corroborate the findings in Hoover and Perez (2004), who also adopt an automatic general-to-simple approach.
Hans Martin Schwarz Collection 1934 - 1938
No full textThis collection contains clippings of articles by Hans Martin Schwarz (1917, Hamburg – 2006, New York, better known as Martin Ebon), published between 1934 and 1938 in German-Jewish newspapers on a wide variety of subjects such as sports, emigration, the political situation in Germany, and religious attitudes of the young. It also contains reviews of his books "Einer wie Du und Ich" and "Heiteres, Besinnliches, Nachdenkliches."digitizedHans Martin Schwarz (1917, Hamburg – 2006, New York, better known as Martin Ebon), was a journalist and author. In Germany during the 1930s, he published in a variety of German-Jewish periodicals, primarily the Israelitisches Familienblatt. After immigrating to the United States in 1938, he changed his name to Martin Ebon, and published dozens of books in the areas of world affairs and parapsychology.Processe
General--to--Specific Reductions of Vector Autoregressive Processes
No full textUnrestricted reduced form vector autoregressive (VAR) models have become a dominant research strategy in empirical macroeconomics since Sims (1980) critique of traditional macroeconometric modeling. They are however subjected to the curse of dimensionality. In this paper we propose general-to-specific reductions of VAR models and consider computer-automated model selection algorithms embodied in PcGets (see Krolzig and Hendry, 2000) for doing so. Starting from the unrestricted VAR, standard testing procedures eliminate statistically-insignificant variables, with diagnostic tests checking the validity of reductions, ensuring a congruent final selection. Since jointly selecting and diagnostic testing eludes theoretical analysis, we evaluate the proposed strategy by simulation. The Monte Carlo experiments show that PcGets recovers the DGP specification from a large unrestricted VAR model with size and power close to commencing from the DGP itself. The application of the proposed reduction strategy to a US monetary system demonstrates the feasibility of PcGets for the analysis of large macroeconomic data sets.Econometric methodology, Model selection, Vector autoregression, Data mining.
General-to-Specific Model Selection Procedures for Structural Vector Autoregressions
No full textStructural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics. Despite their advantages, just-identified SVAR models suffer from (i) the great number of parameters (“curse of dimensionality”), (ii) the resulting uncertainty as-sociated with impulse responses, (iii) the existence of alternative observationally-equivalent just-identified models and (iv) the lack of identification of the imposed causal ordering of the variables of the system. In this paper we propose general-to-specific reductions of just-identified SVAR mod-els to overcome these limitations. We show that the computer-automated model selection algorithm embodied in PcGets (see Krolzig and Hendry, 2001) can be used for an efficient implementation of the underlying methodology. Since jointly selecting and diagnostic testing eludes theoretical ana-lysis, we evaluate the proposed reduction and identification strategy by simulation. The application of the proposed reduction strategy to a US monetary system demonstrates the feasibility of PcGets for the analysis of large macroeconomic data sets
General-to-Specific Model Selection Procedures for Structural Vector Autoregressions
No full textStructural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics, but suffer from the large number of parameters employed and the resulting estimation uncertainty associated with their impulse responses. In this paper we propose general-to-specific model selection procedures to overcome these limitations. After showing that single-equation procedures are efficient for the reduction of the SVAR, but generally not for the reduction of its reduced form, the proposed reduction procedure is computer-automated using PcGets and its small-sample properties are evaluated in a realistic Monte Carlo experiment. The model selection procedure is shown to recover the DGP specification from a large unrestricted SVAR model with controlled size and power. The impulse responses generated by the selected SVAR are compared to those of the unrestricted and reduced VAR and found to be more precise and accurate. The proposed reduction strategy is then applied to the US monetary system considered by Christiano, Eichenbaum and Evans (1996). Although the selection process is hampered by the misspecification of the unrestricted VAR, the results are consistent with the Monte Carlo and question the validity of the impulses responses generated by the full system.Model selection, Impulse responses, Vector autoregression, Structural VAR, Causal order, Data mining
Can oil shocks explain asymmetries in the US Business Cycle?
No full textWe consider whether oil prices can account for business cycle asymmetries. We test for asymmetries based on the Markov switching autoregressive model popularized by Hamilton (1989), using the tests devised by Clements and Krolzig (2000). We find evidence against the conventional wisdom that recessions are more violent than expansions: while some part of the downturn in economic activity that characterises recessionary periods can be attributed to dramatic changes in the price of oil, post-War US economic growth is characterized by the steepness of expansions.Oil prices, Business cycle asymmetries, Markov-switching models
Towards a Monthly Business Cycle Chronology for the Euro Area
No full textThis paper is an exercise in dating the Euro area business cycle on a monthly basis. Using a quite flexible interpolation routine, we construct several monthly series of Euro area real GDP, and then apply the Bry-Boschan (1971) procedure. To account for the asymmetry in growth regimes and duration across business cycle phases, we propose to extend this method with a combined amplitude/phase-length criterion ruling out expansionary phases that are short and flat. Applying the extended procedure to US and European data, we are able to replicate approximately the dating decisions of the NBER and the CEPR.business cycle, European business cycle, Euro area, Bry-Boschan, NBER methodology
Computer Automation of General-to-Specific Model Selection Procedures
No full textThat econometric methodology remains in dispute partly reflects the lack of clear evidence on alternative approaches. This paper reconsiders econometric model selection from a computer-automation perspective, focusing on general-to-specific reduction approaches, as embodied in the program PcGets (general-to-specific). Starting from a general linear, dynamic statistical model, which captures the essential data characteristics, standard testing procedures are applied to eliminate statistically-insignificant variables, using diagnostic tests to check the validity of the reductions, ensuring a congruent final model. As the joint issue of variable selection and diagnostic testing eludes most attempts at theoretical analysis, a simulation-based analysis of modelling strategies is presented. The results of the Monte Carlo experiments cohere with the established theory: PcGets recovers the DGP specification with remarkable accuracy. Empirical size and power of PcGets are close to what one would expect if the DGP were known.
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